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Protter, Philip's
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
456 |
Total
Citations
24 |
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1.
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Positive Alphas, Abnormal Performance, and Illusory Arbitrage
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Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management Protter, Philip Columbia University
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Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management Protter, Philip Columbia University
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Jensen’s alpha, betas, excess expected return, state price density, arbitrage opportunities, martingale measures, local martingale measures, systematic risk, performance evaluation, asset pricing model, CAPM, ICAPM, CCAPM, APT
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2.
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Protter, Philip Columbia University
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24 Jul 12
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Last Revised:
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04 Nov 12
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369
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strict local martingale, bubble, stochastic differential equation, detection, foreign exchange
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3.
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Cetin, Umut Cornell University - Cornell Theory Center (CTC) Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management Protter, Philip Columbia University Yildirim, Yildiray Syracuse University - Whitman School of Management
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14 Nov 12
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Last Revised:
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07 Feb 13
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44
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Default risk, Azema martinglae, Brownian excursion
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4.
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Protter, Philip Columbia University Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management
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43
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Bubble, No Free Lunch with Vanishing Risk, Arbitrage, Risk Neutral Measure, Girsanov's Theorem, Bond Bubbles, Change of Numéraire
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